Well, let's not dismiss one thing, even if it's unlikely:
If someone was shot, and one casing was found near the body, and there was a fingerprint on it that was identified as mine, you can be sure as hell that the police would be knocking on my door. Does anyone really think that they'd ignore it or consider it circumstantial? I'm not saying it would lead to a conviction of any kind, but it still seems like something you would not want to happen. Again, we're talking a fingerprint on ammo, not on, say, a doorknob or desk or something.

I see it as little different than if a knife was left behind after a stabbing and it had my prints on it.